Multivariate normal density in Python?

Question

Is there any python package that allows the efficient computation of the PDF (probability density function) of a multivariate normal distribution?

It doesn\'t seem to be

Answer 1

The density can be computed in a pretty straightforward way using numpy functions and the formula on this page: http://en.wikipedia.org/wiki/Multivariate_normal_distribution. You may also want to use the likelihood function (log probability), which is less likely to underflow for large dimensions and is a little more straightforward to compute. Both just involve being able to compute the determinant and inverse of a matrix.

The CDF, on the other hand, is an entirely different animal...